Question
Definition of Low Default Portfolios in C 102.00 requires classifying portfolios by Type of Facility. In order to do this we evaluate two main options. The first one consists of assigning each value of Type of Facility in accordance with the global product, so an entire contract will be classified into a unique value of that field. The second one consists of assigning on-balance amount of a contract as “Drawn” and the off-balance amount in any of the 6 remaining options for “Undrawn facilities”. What is the more adequate way to operate?
Background on the question
Interpretation of Type of Facility classification.
Answer
The field “Type of Facility” is used to define the benchmarking portfolios in template C 102.00 (Definition of Low Default Portfolios) of Annex I to the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on Supervisory Benchmarking) for the 2017-benchmarking exercise. In the case that more than one facility type value applies to the credit product, the exposure value should be split by the facility type values. Disclaimer The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.